‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Extremes of market uncertainty – both high and low, as well as growing uncertainty – allow trend-following strategies to thrive, new research shows. But as uncertainty fades, so do trend’s successes.
The research from $6.3 billion quant shop AlphaSimplex is among several recent studies to examine the dynamics of trend following – after record returns for the quant strategy this year.
The study shows that trend following performs well when uncertainty is either high or low. But the strategy is also
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